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Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process
Ross, Sheldon M.; Ghamami, Samim - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 45-52
Persistent link: https://www.econbiz.de/10003961017
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An empirical evaluation of value at risk by scenario simulation
Abken, Peter A. - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
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Using Brownian bridge for fast simulation of jump-diffusion processes and barrier options
Metwally, Steve A. K.; Atiya, Amir F. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 43-54
Persistent link: https://www.econbiz.de/10001718687
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On the pricing of power and other polynomial options
Macovschi, Stefan; Quittard-Pinon, François - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 61-71
Persistent link: https://www.econbiz.de/10003346507
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Barrier option pricing using adjusted transition probabilities
Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 36-53
Persistent link: https://www.econbiz.de/10003795257
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Pricing Parisian options by generating functions
Li, Bing-qing; Zhao, Hai-jian - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 72-81
Persistent link: https://www.econbiz.de/10003862827
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Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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Barrier options on spot LIBOR rates under multi-factor Gaussian HJM model
Nunes, Joaõ Pedro Vidal - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10003379130
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Closed-form approximations for spread option prices and greeks
Li, Minqiang; Deng, Shi-jie; Zhou, Jieyun - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 58-80
Persistent link: https://www.econbiz.de/10003673361
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A closed form approach to the valuation and hedging of basket and spread options
Borovkova, Svetlana; Permana, Ferry J.; Weide, Hans van der - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 8-24
Persistent link: https://www.econbiz.de/10003498942